1. Log into your iCloud account at https://icloud.com and click on mail
2. Click the gear in the bottom left corner
3. Click 'Rules', then 'Add a Rule'
4. Select 'is from' and then add the email address that you would like to prevent from going to your spam box.
5. Under 'Then', select 'Move to Folder', then under 'Choose a Folder', either select an existing folder you would like to store those in or select 'New Folder' and create the folder you would like to store those under.